- CQF Program
- Events
- Resources »
- Membership
- Careers »
- About Us »
Open Filter
Forecasting the Yield Curve with S-Plus
In this paper, Dario Cziráky, shows how to implement the Nelson-Siegel and Svensson models using non-linear least squares and how to obtain standard errors and confidence intervals for the parameters, which proves to be useful in assessing the goodness-of-fit at specific points in the term structure, such as at the events of non-parallel shifts.
Fri 4 Mar 2022
An Asymptotic FX Option Formula in the Cross Currency Libor Market Model
In this article, Atsushu Kawai and Peter Jäckel introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion technique introduced in Kawai [Kaw03].
Fri 4 Mar 2022
Rootless Vol
Kent Osband discusses the Brownian motion in this Wilmott article.
Tue 1 Feb 2022
Software Frameworks in Quantitative Finance, Part I Fundamental Principles and Applications to Monte Carlo Methods
In this Wilmott article, Daniel J. Duffy and Joerg Kienitz discuss a number of ongoing efforts when developing customizable software systems and frameworks for problems in Quantitative Finance.
Tue 1 Feb 2022
Building Your Wings on the Way Down
Aaron Brown discusses financial risk in this article from Wilmott Magazine.
Tue 4 Jan 2022
Amaranthus Extermino
What does the 2006 Amaranth Advisors natural gas hedge fund disaster tell us about the state of hedge funds?
Tue 4 Jan 2022
Introduction to Variance Swaps
The purpose of this article is to introduce the properties of variance swaps, and give insights into the hedging and valuation of these instruments from the particular lens of an option trader.
Tue 7 Dec 2021
Monte Carlo in Esperanto
This article shows how a simple parser environment in Excel/VBA could be used to perform single and multi-dimensional Monte Carlo.
Thu 4 Nov 2021
Numerical Methods for the Markov Functional Model
Some numerical methods for efficient implementation of the 1- and 2-factor Markov Functional models of interest rate derivatives are proposed.
Thu 4 Nov 2021
Order Statistics for Value at Risk Estimation and Option Pricing
We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest loss to estimate the quantile of the profit and loss distribution of a portfolio of assets. We show that when the k-th heaviest loss is used the expected quantile and its error will be independent of the portfolio composition and the return functions of the assets in the portfolio.
Tue 12 Oct 2021
